You really should just experiment with the dynamic range settings. I find some films have speech that is difficult to hear without turning on some compression. Some other films, particularly THX films, have very sharp speech at all volumes and without compression. I also sometimes turn compression on out of concern of damaging my speakers.
I'd think you'd need quite a good set up to have enjoyable sound without compression turned on. This of course depends on the film as some films might have hardly any dynamic range. One other thing is that many films nowadays, especially action films, are mixed excessively loud, so compression makes them more listenable.